Sunday, February 26, 2017

I often get
asked about where to go to learn more about the VIX and volatility. Well, if there is one event each year that
falls in the absolutely-do-not-miss category, it is the CBOE’s annual Risk Management Conference,
which is back in Dana Point, California this year from March 8-10. It should be noted that while this is the 33rd
annual incarnation of this event in the U.S., in the past few years, RMC-Europe (September 11-13, 2017 in Hertfordshire,
U.K.) and RMC-Asia (December 5-6, 2017
in Hong Kong) now give VIX aficionados three different opportunities to gather
around the globe and immerse themselves in all things volatility.

This year, Ed
Thorp is the keynote speaker and as I have yet to hear him speak in person, I
am very much looking forward to his talk on “Position Sizing and Relation to
Risk Management.” Another featured
speaker is Benjamin Bowler, Global Head of Equity Derivatives Research, Bank of
America Merrill Lynch, whose talk is titled, “Post-Central Bank Volatility:
More Risk But More Alpha.” Two of my
favorite perennial speakers are back again this year: Maneesh Deshpande, Managing Director and
Global Head of Equity Derivatives Strategy, Barclays is a panelist for “Impact
of Flows on Cash and Derivatives Markets: Myths and Realities,”

while Rocky
Fishman, Equity Derivatives Strategy, Deutsche Bank Securities Inc., is a
panelist for “Options Out of This Country.”

Also, Ed
Provost, President & Chief Operating Officer, CBOE Holdings, Inc. will be
there to kick off the proceedings and if history is any guide, this is when we
are most likely to get some insight into any upcoming or recently launched CBOE
products.

While the RMC content
is guaranteed to be world class, this is also the greatest gathering of
volatility practitioners, academics and other manner of VIXophiles that I am
aware of. In short, if you speak VIX and
are looking to find your lost tribe, here they are. This is why I like to informally refer to the
RMC as The VIX Summit.

While the CBOE
has provided excellent coverage of this event on Twitter and on the CBOE blog, I will do what I can to pass
along real-time and near real-time commentary as well.

I must admit
that one of the most interesting conversations I have ever had on the VIX was at with the creator of the
product, Robert
Whaley, who regaled me with some interesting stories related to the origin
of the VIX at the 2015 CBOE RMC. I trust
this year will deliver some equally compelling memories.

Last but not
least, if you see me this year, please stop and say hello.

I often get
asked about where to go to learn more about the VIX and volatility. Well, if there is one event each year that
falls in the absolutely-do-not-miss category, it is the CBOE’s annual Risk Management Conference,
which is back in Dana Point, California this year from March 8-10. It should be noted that while this is the 33rd
annual incarnation of this event in the U.S., in the past few years, RMC-Europe (September 11-13, 2017 in Hertfordshire,
U.K.) and RMC-Asia (December 5-6, 2017
in Hong Kong) now give VIX aficionados three different opportunities to gather
around the globe and immerse themselves in all things volatility.

This year, Ed
Thorp is the keynote speaker and as I have yet to hear him speak in person, I
am very much looking forward to his talk on “Position Sizing and Relation to
Risk Management.” Another featured
speaker is Benjamin Bowler, Global Head of Equity Derivatives Research, Bank of
America Merrill Lynch, whose talk is titled, “Post-Central Bank Volatility:
More Risk But More Alpha.” Two of my
favorite perennial speakers are back again this year: Maneesh Deshpande, Managing Director and
Global Head of Equity Derivatives Strategy, Barclays is a panelist for “Impact
of Flows on Cash and Derivatives Markets: Myths and Realities,”

while Rocky
Fishman, Equity Derivatives Strategy, Deutsche Bank Securities Inc., is a
panelist for “Options Out of This Country.”

Also, Ed
Provost, President & Chief Operating Officer, CBOE Holdings, Inc. will be
there to kick off the proceedings and if history is any guide, this is when we
are most likely to get some insight into any upcoming or recently launched CBOE
products.

While the RMC content
is guaranteed to be world class, this is also the greatest gathering of
volatility practitioners, academics and other manner of VIXophiles that I am
aware of. In short, if you speak VIX and
are looking to find your lost tribe, here they are. This is why I like to informally refer to the
RMC as The VIX Summit.

While the CBOE
has provided excellent coverage of this event on Twitter and on the CBOE blog, I will do what I can to pass
along real-time and near real-time commentary as well.

I must admit
that one of the most interesting conversations I have ever had on the VIX was at with the creator of the
product, Robert
Whaley, who regaled me with some interesting stories related to the origin
of the VIX at the 2015 CBOE RMC. I trust
this year will deliver some equally compelling memories.

Last but not
least, if you see me this year, please stop and say hello.

Purpose of this Blog

The intent of this blog is to educate, inform and entertain readers, while also serving as an archived learning laboratory of sorts as I try to sharpen my thinking in areas such as volatility, market sentiment, and technical analysis. I also enjoy charging off on tangents and hope that readers may find some illumination or at least amusement in these forays.

Reviews of VIX and More

About Me

Chief Investment Officer at Luby Asset Management LLC in Tiburon, California. Previously worked as a full-time trader/investor and also a business strategy consultant. Education includes a BA from Stanford and an MBA from Carnegie Mellon.
Useless trivia: I once broke the world pogo stick jumping record without knowing it.